ba237a9d91
Files correlati : Ricompilazione Demo : [ ] Commento : Aggiunti i sorgenti per Greenleaf Math Library (gfm.dll) git-svn-id: svn://10.65.10.50/trunk@10079 c028cbd2-c16b-5b4b-a496-9718f37d4682
132 lines
3.5 KiB
C
Executable File
132 lines
3.5 KiB
C
Executable File
/* DEC *BondPrice(price, acc,yield, coupon, ppy, mop, dap, yrp, mom, dam, yrm)
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*
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* ARGUMENT
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* DEC *price;
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* DEC *yield;
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* DEC *coupon;
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* int ppy;
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* int mop, dap, yrp;
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* int mom, dam, yrm;
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*
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* DESCRIPTION
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* Calculate the price of a bond given the desired yield, coupon rate
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* for receiving interest on a bond, number of payments per year, and the
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* puchase and maturity dates.
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*
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* SIDE EFFECTS
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* None.
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*
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* RETURNS
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* price if successful, otherwise GM_NULL
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*
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* POSSIBLE ERRORS
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* GM_NULLPOINTER
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* GM_INIT
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* GM_ARGVAL
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*
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* AUTHOR
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* Jared Levy
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* Copyright (C) 1988-1990 Greenleaf Software Inc. All rights reserved.
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*
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* MODIFICATIONS
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*
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* Mark Nelson
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* Fixed bond pricing to accurately convert effective to nominal before
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* making calculations.
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*
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*/
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#include <stdio.h>
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#include "gmsystem.h"
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DEC *BondPrice(price,acc,yield,coupon, ppy, mop, dap, yrp, mom, dam, yrm)
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DEC *price, *yield, *coupon, *acc;
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int ppy, mop, dap, yrp, mom, dam, yrm;
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{
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DEC dtemp, *temp=&dtemp, dtemp2, *temp2=&dtemp2;
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DEC dnper, *nper=&dnper, dpmt, *pmt=&dpmt;
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DEC dnyield, *nyield=&dnyield, dfvopi, *fvopi=&dfvopi;
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DEC ddsc, *dsc=&ddsc, ddcs, *dcs=&ddcs;
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DEC dopi, *opi=&dopi, dopinm1, *opinm1=&dopinm1;
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int ndays, npay;
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_MacStart(GM_BONDPRC);
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_MacInVarD(yield);
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_MacInVarD(coupon);
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_MacOutVarD(price);
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if (ppy<1||ppy>12||CompareDecimal(yield,&decMinusHundred)<=0) {
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_MacErr(GM_ARGVAL);
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_MacRet(GM_NULL);
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}
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/* calculate # of periods, including partial period */
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ndays = DaysBetweenDates360(mom, dam, yrm, mop, dap, yrp);
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if (ndays < 0) {
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if (ndays!=GM_ARGVAL&&ndays!=GM_OVERFLOW)
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_MacErr(GM_ARGVAL);
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_MacRet(GM_NULL);
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}
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/* calculate number of interest payments remaining */
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(void) ConvLongToDecimal(temp, (long)ppy * (long) ndays);
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(void) ConvLongToDecimal(temp2, 360L);
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(void) _DivDec80Bit(nper, temp, temp2);
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(void) _TruncateDec80Bit(temp, nper, 0);
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npay=temp->dc.sl[0]+1; /* int number of interest payments */
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(void) _SubDec80Bit(dsc, nper, temp); /* days purchase - next int */
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(void) _SubDec80Bit(dcs, &decOne, dsc); /* days last int - purchass */
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if (_MacIsDecZ(dsc))
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_MacDZero(dcs);
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/* calculate coupon rate per period */
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(void) ConvLongToDecimal(temp2, (long)ppy);
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(void) _DivDec80Bit(pmt, coupon, temp2);
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/* calculate yield per period */
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_MacDCopy( nyield, yield );
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nyield->dc.id += 2;
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_AddDec80Bit( nyield, nyield, &decOne );
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_LnDec80Bit( nyield, nyield);
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_DivDec80Bit( nyield, nyield, temp2 );
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_ExpDec80Bit( nyield, nyield );
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_SubDec80Bit( nyield, nyield, &decOne );
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if (CompareDecimal(nper, &decOne)<=0) { /* < 1 period to maturity */
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(void) _AddDec80Bit(temp, &decHundred, pmt);
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(void) _MulDec80Bit(temp2, dsc, nyield);
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(void) _AddDec80Bit(temp2, temp2, &decOne);
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(void) _DivDec80Bit(price, temp, temp2);
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}
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else { /* > 1 period to maturity */
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(void) _AddDec80Bit(opi, nyield, &decOne);
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(void) _IntPwrDec80Bit(opinm1, opi, -(npay-1));
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(void) _MulDec80Bit(fvopi, &decHundred, opinm1);
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if (_MacIsDecZ(nyield))
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ConvLongToDecimal(temp, (long) npay);
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else {
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(void) _SubDec80Bit(temp, opi, opinm1);
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(void) _DivDec80Bit(temp, temp, nyield);
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}
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(void) _MulDec80Bit(temp, temp, pmt);
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(void) _AddDec80Bit(temp, temp, fvopi);
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_MacDChgs(dsc);
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(void) PowerDecimal(temp2, opi, dsc);
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(void) _MulDec80Bit(price, temp, temp2);
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}
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(void) _MulDec80Bit(acc, pmt, dcs);
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(void) _Sq5UnsTo4Uns(acc);
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if (_MacIsDecZ(dsc))
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(void) _SubDec80Bit(price, price, pmt);
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else
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(void) _SubDec80Bit(price, price, acc);
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(void) _Sq5UnsTo4Uns(price);
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_MacRet(price);
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}
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